Merrill Lynch International Investment Funds Audited Annual Report ...

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Euro Corporate Bond Fund (1) continued Portfolio of Investments 31 December 2006 Transferable Securities Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Holding Description Value (€) % €200,000 Goldman Sachs Group 4.75% 28/1/2014 204,370 0.89 €155,000 IntesaBci Capital Trust 6.988% 12/7/2011 (Perpetual) 170,168 0.74 €200,000 JPMorgan Chase & Co EMTN 4.375% 12/11/2019 198,366 0.87 €300,000 New York Life Global Funding GMTN 3.75% 19/10/2009 297,040 1.29 €100,000 Parker Hannifin 3.5% 11/11/2010 97,147 0.42 €50,000 Procter & Gamble 4.125% 7/12/2020 48,370 0.21 €250,000 SLM Student Loan Trust 2003-7 '03-7' 3.8% 17/6/2010 246,832 1.08 US$125,000 Teva Pharmaceutical Finance 6.15% 1/2/2036 92,412 0.40 Transferable Securities Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Holding Description Value (€) % €50,000 Unicredito Italiano Capital Trust III 4.028% 27/10/2015 (Perpetual) 46,642 0.20 €100,000 Zurich Finance USA EMTN 4.5% 17/9/2014 ___________ 100,717 ______ 0.44 ___________ 3,578,317 ______ 15.60 Total Portfolio 22,049,975 96.12 Other Net Assets ___________ 889,537 ______ 3.88 Total Net Assets (€) ___________ 22,939,512 ______ 100.00 Open Forward Foreign Exchange Transactions as at 31 December 2006 Purchases Sales Value date Unrealised profit/(loss) € US$100,000 €75,598 4/1/2007 251 €563,549 US$745,000 4/1/2007 (1,526) €148,060 £100,000 4/1/2007 _______ (848) Net unrealised loss _______ (2,123) Note: The net unrealised loss attributed to these transactions is included in the Statement of Net Assets (see Note 2c). Open Futures Contracts as at 31 December 2006 Number Expiration Value of Contracts Contract/Description date € 15 Eurex Euro Bund March 2007 1,742,100 (25) Euro DTB BOBL March 2007 (2,721,000) (1) Japanese Government Bond (TSE) March 2007 (855,712) (24) US Treasury 10 Year Note March 2007 (1,955,928) (4) US Treasury 30 Year Bond March 2007 (337,556) 6 LIFFE 3 Month EURIBOR June 2007 _________ 1,439,175 Total commitment _________ (2,688,921) Note: The net unrealised profit of €20,949 attributed to these transactions is included in the Statement of Net Assets (see Note 2c). Swaps as at 31 December 2006 Nominal Value Description Unrealised profit/(loss) € Nominal Value Description Unrealised profit/(loss) € £75,000 Interest Rate Swaps (UBS Warburg) (Fund pays Floating GBP Libor 6-Month; and receives Fixed 3.9775%) (17/1/2036) 10,797 €100,000 Credit Default Swaps (Citigroup) (Fund receives Fixed 0.2675%; and pays default protection on Sanofi Aventis 4.25% 15/9/2010) (20/3/2011) 579 €700,000 Credit Default Swaps (Citibank) (Fund pays Floating quarterly performance of iTraxx Europe 6 V1; and receives Fixed 0.30%) (20/12/2011) 2,025 €400,000 Credit Default Swaps (CitiBank) (Fund pays Fixed 0.50%; and receives Floating quarterly performance of iTraxx Europe 6 V1) (20/12/2016) (2,223) €700,000 Credit Default Swaps (UBS) (Fund pays Floating quarterly performance of iTraxx Europe 6 V1; and receives Fixed 0.30%) (20/12/2011) 2,109 €400,000 Credit Default Swaps (UBS) (Fund pays Fixed 0.50%; and receives Floating quarterly performance of iTraxx Europe 6 V1) (20/12/2016) (2,299) €600,000 Credit Default Swaps (Citibank) (Fund buys default protection on Mittal Steel Company N.V. 0%; and receives Fixed 0.505%) (20/12/2011) (904) €600,000 Credit Default Swaps (Citibank) (Fund sells default protection on Clariant AG 4.25% 15/3/2008; and pays Fixed 0.46%) (20/12/2011) 2,156 €1,250,000 Credit Default Swaps (UBS) (Fund pays Floating quarterly performance of iTraxx Europe 6 V1; and receives Fixed 0.30%) (20/12/2011) 3,766 €710,000 Credit Default Swaps (UBS) (Fund pays Fixed 0.50%; and receives Floating quarterly performance of iTraxx Europe 6 V1) (20/12/2016) (4,082) €150,000 Credit Default Swaps (Citigroup) (Fund pays Fixed 0.25%; and receives default protection on Akzo 4.25% 14/6/2011) (20/6/2011) (214) €150,000 Credit Default Swaps (Citigroup) (Fund pays Fixed 0.36%; and receives default protection on SCA Finans AB) (20/6/2011) (989) €1,000,000 Credit Default Swaps (Citibank) (Fund Pays Fixed 0.40%; and receives Floating quarterly performance of iTraxx EUR.5.EU5) (20/6/2011) 7,592 €250,000 Credit Default Swaps (UBS) (Fund pays Floating quarterly coupon of Glitnir Banki hf. FRN, 27/1/2010; and receives Fixed 0.51%) (20/12/2011) 2,470 €600,000 Credit Default Swaps (Citibank) (Fund buys default protection on Pernod Ricard SA 4.625% 12/6/2013; and receives Fixed 0.51%) (20/12/2011) (580) €600,000 Credit Default Swaps (Citibank) (Fund sells default protection on Imperial Tobacco Group PLC 6.25% 12/4/2018; and receives Fixed 0.38%) (20/12/2011) (459) _______ 19,744 _______ Note: The net unrealised profit attributed to these transactions is included in the Statement of Net Assets (see Note 2c). 86 Merrill Lynch International Investment Funds
Euro Reserve Fund Portfolio of Investments 31 December 2006 Transferable Securities Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Holding Description Value (€) % BONDS Australia €10,000,000 Suncorp-Metway EMTN FRN 20/10/2008 10,011,600 1.96 €5,000,000 Torrens Trust '2006-1E A1' FRN 14/9/2037 ___________ 5,007,549 ______ 0.98 ___________ 15,019,149 ______ 2.94 Austria €6,000,000 Kommunalkredit Austria EMTN FRN 14/9/2007 ___________ 6,003,600 ______ 1.17 Cayman Islands €5,000,000 BCP Finance Bank EMTN FRN 6/7/2007 5,004,759 0.98 €20,000,000 Caixa Geral de Depositos Finance (Cayman Islands) EMTN FRN 24/4/2007 20,008,000 3.91 €400,000 Pacific Life Funding EMTN 4.875% 30/7/2007 ___________ 401,720 ______ 0.08 ___________ 25,414,479 ______ 4.97 Denmark €5,000,000 FIH Erhvervsbank EMTN FRN 3/11/2009 ___________ 4,999,750 ______ 0.97 Finland €6,500,000 OKO Bank EMTN FRN 18/3/2008 ___________ 6,499,675 ______ 1.27 France €5,000,000 Caisse Nationale des Caisses d'Epargne et de Prevoyance EMTN FRN 23/5/2008 4,997,848 0.98 €5,000,000 Caisse Nationale des Caisses d'Epargne et de Prevoyance EMTN FRN 4/2/2009 5,000,750 0.98 €5,000,000 Credit Agricole (London) EMTN FRN 23/6/2008 4,998,350 0.98 €2,450,000 Credit Agricole (London) EMTN FRN 28/10/2009 2,446,301 0.47 €5,000,000 Credit Agricole EMTN FRN 11/7/2007 5,002,025 0.98 €5,000,000 France Telecom EMTN 6% 28/9/2007 ___________ 5,069,200 ______ 0.99 ___________ 27,514,474 ______ 5.38 Germany €50,000 Deutsche Bank FRN 18/10/2010 ___________ 50,219 ______ 0.01 Iceland €5,000,000 Glitnir Banki HF EMTN FRN 31/5/2007 4,986,050 0.98 €11,400,000 Kaupthing Bank EMTN FRN 23/5/2007 ___________ 11,397,891 ______ 2.23 ___________ 16,383,941 ______ 3.21 Transferable Securities Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Holding Description Value (€) % Ireland €10,000,000 GE Capital European Funding EMTN FRN 1/3/2010 ___________ 9,993,169 ______ 1.95 Italy €5,000,000 Banca Intesa EMTN FRN 23/4/2008 5,012,250 0.98 €4,466,923 SCIP – Societa Cartolarizzazione Immobili Pubblici '2 A5' FRN 26/4/2025 ___________ 4,467,960 ______ 0.88 ___________ 9,480,210 ______ 1.86 Japan €10,000,000 Japan Finance Corporation for Small and Medium Enterprise FRN 13/2/2009 10,046,603 1.97 NLG14,670,000 Kansai Electric Power EMTN 5.75% 30/5/2007 ___________ 6,703,820 ______ 1.31 ___________ 16,750,423 ______ 3.28 Jersey €3,000,000 UBS (Jersey Branch) EMTN FRN 17/11/2015 ___________ 3,001,140 ______ 0.59 Luxembourg €10,000,000 IEB Finance 0% 11/10/2007 ___________ 9,694,000 ______ 1.90 Netherlands €10,000,000 ABN Amro Bank EMTN FRN 16/9/2011 10,012,300 1.96 €5,000,000 Aegon EMTN 4.625% 16/4/2008 5,033,350 0.99 €10,000,000 Allianz Finance II 4.625% 29/11/2007 10,058,800 1.97 €10,550,000 Deutsche Telekom International Finance 7.5% 29/5/2007 10,694,060 2.09 €4,132,000 Diageo Capital EMTN 3.875% 6/1/2009 4,109,832 0.80 €5,205,000 ING Groep EMTN 6% 1/8/2007 5,263,973 1.03 €2,306,744 Match '2002-1 A1' FRN 29/10/2034 2,312,169 0.45 €10,000,000 NIBC Bank EMTN FRN 12/2/2008 9,996,400 1.96 €7,000,000 Nomura Europe Finance EMTN FRN 27/2/2009 6,996,500 1.37 €5,000,000 Popular Finance Europe EMTN FRN 10/11/2008 4,998,733 0.98 €5,000,000 RWE Finance EMTN 5.375% 18/4/2008 5,080,725 0.99 €10,000,000 Toyota Motor Finance Netherlands EMTN FRN 10/11/2008 10,004,855 1.96 DM10,000,000 Westlb Finance Curaco EMTN FRN 29/10/2008 ___________ 5,113,805 ______ 1.00 ___________ 89,675,502 ______ 17.55 New Zealand €10,000,000 Westpac Trust Securities NZ (London) EMTN FRN 7/9/2007 ___________ 9,999,024 ______ 1.96 The notes on pages 213 to 219 form an integral part of these financial statements. Audited Annual Report and Accounts 87
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Merrill Lynch International Investm
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Chairman’s Letter Merrill Lynch I
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Statement of Net Assets as at 31 De
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Three Year Asset Summary as at 31 D
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Statement of Operations and Changes
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Page 44 and 45: Statement of Changes in Shares Outs
Page 62 and 63: Asian Dragon Fund Portfolio of Inve
Page 64 and 65: Asian Tiger Bond Fund Portfolio of
Page 66 and 67: Conservative Allocation Fund (Euro)
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Page 70 and 71: Conservative Allocation Fund (US Do
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Page 74 and 75: Continental European Flexible Fund
Page 76 and 77: Emerging Europe Fund continued Port
Page 78 and 79: Emerging Markets Fund continued Por
Page 80 and 81: Emerging Markets Bond Fund continue
Page 82 and 83: Euro Bond Fund Portfolio of Investm
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Page 92 and 93: Euro Short Duration Bond Fund (1) c
Page 94 and 95: European Fund Portfolio of Investme
Page 96 and 97: European Focus Fund Portfolio of In
Page 98 and 99: European Growth Fund continued Sect
Page 100 and 101: European Opportunities Fund continu
Page 102 and 103: Global Allocation Fund Portfolio of
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Page 110 and 111: Global Allocation Fund continued Wr
Page 112 and 113: Global Allocation Fund continued Sw
Page 114 and 115: Global Bond Fund (Euro) continued P
Page 116 and 117: Global Bond Fund (US Dollar) Portfo
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Page 120 and 121: Global Capital Securities Absolute
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Page 124 and 125: Global Dynamic Equity Fund (1) cont
Page 132 and 133: Global Enhanced Equity Yield Fund (
Page 134 and 135: Global Enhanced Equity Yield Fund (
Page 136 and 137: Global Equity Fund (1) Portfolio of
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Global Focus Fund Portfolio of Inve
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Global Fundamental Value Fund conti
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Global High Yield Bond Fund (Euro)
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Global High Yield Bond Fund (Euro)
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Global Opportunities Fund continued
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Global SmallCap Fund continued Port
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India Fund (1) Portfolio of Investm
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Japan Opportunities Fund (1) Portfo
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Latin American Fund Portfolio of In
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New Energy Fund Portfolio of Invest
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Pacific Equity Fund Portfolio of In
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Sterling Reserve Fund Portfolio of
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Strategic Allocation Fund (Euro) co
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Strategic Allocation Fund (US Dolla
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Strategic Allocation Fund (US Dolla
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UK Focus Fund Portfolio of Investme
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US Basic Value Fund Portfolio of In
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US Dollar Core Bond Fund Portfolio
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US Dollar Core Bond Fund continued
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US Dollar Core Bond Fund continued
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US Dollar High Yield Bond Fund Port
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US Dollar High Yield Bond Fund cont
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US Dollar Low Duration Bond Fund Po
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US Dollar Low Duration Bond Fund co
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US Dollar Reserve Fund Portfolio of
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US Flexible Equity Fund Portfolio o
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US Focused Value Fund Portfolio of
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US Government Mortgage Fund continu
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US Opportunities Fund Portfolio of
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US SmallCap Value Fund Portfolio of
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World Bond Fund Portfolio of Invest
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World Bond Fund continued Open Forw
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World Energy Fund continued Sector
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World Financials Fund continued Pur
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World Gold Fund continued Sector Br
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World Income Fund Portfolio of Inve
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World Income Fund continued Portfol
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World Mining Fund Portfolio of Inve
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World Technology Fund Portfolio of
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Notes to the Financial Statements c
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General Information Current Prospec
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Auditor’s Report to the Sharehold
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